Eduardo Rossi : Citation Profile


Are you Eduardo Rossi?

Università degli Studi di Pavia

7

H index

5

i10 index

129

Citations

RESEARCH PRODUCTION:

16

Articles

21

Papers

RESEARCH ACTIVITY:

   23 years (1995 - 2018). See details.
   Cites by year: 5
   Journals where Eduardo Rossi has often published
   Relations with other researchers
   Recent citing documents: 52.    Total self citations: 9 (6.52 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pro257
   Updated: 2019-10-15    RAS profile: 2019-01-18    
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Relations with other researchers


Works with:

Santucci de Magistris, Paolo (10)

Castegnetti, Carolina (6)

Caporin, Massimiliano (5)

Trapani, Lorenzo (5)

Bacchiocchi, Emanuele (2)

Missale, Alessandro (2)

Bastianin, Andrea (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Eduardo Rossi.

Is cited by:

Santucci de Magistris, Paolo (10)

GUPTA, RANGAN (9)

Caporin, Massimiliano (7)

Ruiz, Esther (6)

Ranaldo, Angelo (4)

Galeano, Pedro (4)

Gallo, Giampiero (4)

Otranto, Edoardo (4)

Hanousek, Jan (4)

Kočenda, Evžen (4)

Grassi, Stefano (4)

Cites to:

Bollerslev, Tim (31)

Diebold, Francis (26)

Pesaran, M (24)

Andersen, Torben (22)

Tauchen, George (21)

Engle, Robert (16)

Corsi, Fulvio (14)

Nielsen, Morten (14)

Bai, Jushan (12)

Johansen, Soren (10)

Gallant, A. (10)

Main data


Where Eduardo Rossi has published?


Journals with more than one article published# docs
Journal of Econometrics2
Journal of Financial Econometrics2
Econometric Reviews2
Journal of Applied Econometrics2
Computational Statistics & Data Analysis2

Working Papers Series with more than one paper published# docs
DEM Working Papers Series / University of Pavia, Department of Economics and Management7
MPRA Paper / University Library of Munich, Germany3
"Marco Fanno" Working Papers / Dipartimento di Scienze Economiche "Marco Fanno"2

Recent works citing Eduardo Rossi (2018 and 2017)


YearTitle of citing document
2017A Non-Structural Investigation of VIX Risk Neutral Density. (2017). Violante, Francesco ; Santucci de Magistris, Paolo ; Barletta, Andrea. In: CREATES Research Papers. RePEc:aah:create:2017-15.

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2017Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Delle Monache, Davide ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2017-16.

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2017Inference from the futures: ranking the noise cancelling accuracy of realized measures. (2017). Mirone, Giorgio . In: CREATES Research Papers. RePEc:aah:create:2017-24.

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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Pakkanen, Mikko S ; Lunde, Asger ; Bennedsen, Mikkel . In: CREATES Research Papers. RePEc:aah:create:2017-26.

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2018Cross-sectional noise reduction and more efficient estimation of Integrated Variance. (2018). Mirone, Giorgio . In: CREATES Research Papers. RePEc:aah:create:2018-18.

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2019Resuscitating the co-fractional model of Granger (1986). (2019). de Magistris, Paolo Santucci ; Carlini, Federico. In: CREATES Research Papers. RePEc:aah:create:2019-02.

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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332.

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2019Testing for Correlated Factor Loadings in Cross Sectionally Dependent Panels. (2019). Serlenga, Laura ; Shin, Yongcheol ; Kapetanios, George. In: SERIES. RePEc:bai:series:series_wp_02-2019.

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2019Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems. (2019). Dubois, Florent ; Dumitrescu, Elena Ivona ; de Truchis, Gilles. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-15.

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2019Estimation of impulse response functions when shocks are observed at a higher frequency than outcome variables. (2019). Georgiadis, Georgios ; Chudik, Alexander. In: Working Paper Series. RePEc:ecb:ecbwps:20192307.

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2018Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis. (2018). Lien, Donald ; Zhang, Yuyin ; Yang, LI ; Lee, Geul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:187-201.

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2018A novel approach for testing the parity relationship between CDS and credit spread. (2018). Castagnetti, Carolina. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:115-117.

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2019Model order selection in periodic long memory models. (2019). Leschinski, Christian ; Sibbertsen, Philipp. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:78-94.

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2018A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors. (2018). Tu, Anthony H ; Chen, Cathy Yi-Hsuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:243-268.

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2018Volatility jumps: The role of geopolitical risks. (2018). Gkillas, Konstantinos ; Wohar, Mark E ; Gupta, Rangan. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:247-258.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2019A non-structural investigation of VIX risk neutral density. (2019). Santucci de Magistris, Paolo ; Violante, Francesco ; Barletta, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:1-20.

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2017A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios. (2017). Yue, Wei ; Wang, Yu Ping. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:465:y:2017:i:c:p:124-140.

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2017Can economic policy uncertainty help to forecast the volatility: A multifractal perspective. (2017). Liu, Zhicao ; Ma, Feng ; Ye, Yong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:181-188.

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2018Spurious Cross-Sectional Dependence in Credit Spread Changes. (2018). McAleer, Michael ; Jaskowski, M. In: Econometric Institute Research Papers. RePEc:ems:eureir:110016.

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2017Simultaneous Spatial Panel Data Models with Common Shocks. (2017). Lu, Lina. In: Risk and Policy Analysis Unit Working Paper. RePEc:fip:fedbqu:rpa17-3.

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2019Estimation of Impulse Response Functions When Shocks are Observed at a Higher Frequency than Outcome Variables. (2019). Georgiadis, Georgios ; Chudik, Alexander. In: Globalization Institute Working Papers. RePEc:fip:feddgw:356.

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2017Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach. (2017). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_05.

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2018Long-Term Electricity Load Forecasting Considering Volatility Using Multiplicative Error Model. (2018). Khuntia, Swasti R ; MART, ; Rueda, Jose L. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:12:p:3308-:d:185892.

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2017Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks. (2017). Sibbertsen, Philipp ; Leschinski, Christian ; Voges, Michelle . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-599.

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2019Resuscitating the co-fractional model of Granger (1986). (2001). Santucci de Magistris, Paolo ; Carlini, Federico . In: Discussion Papers. RePEc:not:notgts:19/01.

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2019Dynamic discrete mixtures for high frequency prices. (). Santucci de Magistris, Paolo ; di Mari, Roberto ; Catania, Leopoldo. In: Discussion Papers. RePEc:not:notgts:19/05.

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2018Tail Event Driven ASset allocation: evidence from equity and mutual funds’ markets. (2018). Härdle, Wolfgang ; Petukhina, Alla ; Nasekin, Sergey ; Chuen, David Kuo ; Hardle, Wolfgang Karl. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:1:d:10.1057_s41260-017-0060-9.

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2018Systemic risk spillovers in sovereign credit default swaps in Europe: a spatial approach. (2018). Mili, Mehdi. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:2:d:10.1057_s41260-017-0068-1.

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2018A novel approach for testing the parity relationship between CDS and credit spread. (2018). Castagnetti, Carolina. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0161.

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2019A Box-Cox semiparametric multiplicative error model. (2019). Zhang, Xuehai . In: Working Papers CIE. RePEc:pdn:ciepap:122.

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2019A Box-Cox semiparametric multiplicative error model. (2019). Zhang, Xuehai . In: Working Papers CIE. RePEc:pdn:ciepap:125.

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2018Bayesian MCMC analysis of periodic asymmetric power GARCH models. (2018). Aknouche, Abdelhakim ; Touche, Nassim ; Demmouche, Nacer. In: MPRA Paper. RePEc:pra:mprapa:91136.

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2019Realized Volatility Forecasting with Neural Networks. (2019). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:95443.

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2017OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration. (2017). Yoon, Seong-Min ; Lau, Chi Keung ; GUPTA, RANGAN ; Marco, Chi Keung. In: Working Papers. RePEc:pre:wpaper:201754.

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2018Volatility Jumps: The Role of Geopolitical Risks. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201805.

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2018Oil Shocks and Volatility Jumps. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201825.

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2018Jumps Beyond the Realms of Cricket: India’s Performance in One Day Internationals and Stock Market Movements. (2018). GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos ; Suleman, Tahir ; Marco, Chi Keung. In: Working Papers. RePEc:pre:wpaper:201871.

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2018Forecasting (Good and Bad) Realized Exchange-Rate Volatility: Is there a Role for Realized Skewness and Kurtosis?. (2018). GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos ; Pierdzioch, Christian. In: Working Papers. RePEc:pre:wpaper:201879.

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2019Dynamic Impact of the U.S. Monetary Policy on Oil Market Returns and Volatility. (2019). GUPTA, RANGAN ; Cakan, Esin ; Marfatia, Hardik A. In: Working Papers. RePEc:pre:wpaper:201916.

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2019Monetary Policy Uncertainty and Volatility Jumps in Advanced Equity Markets. (2019). Kyei, Clement ; GUPTA, RANGAN ; Gkillas, Konstantinos ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:201939.

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2019125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets. (2019). GUPTA, RANGAN ; Miller, Stephen M ; Marfatia, Hardik A. In: Working Papers. RePEc:pre:wpaper:201956.

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2019Moments-Based Spillovers across Gold and Oil Markets. (2019). Wang, Shixuan ; Marco, Chi Keung ; Gupta, Rangan ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:201966.

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2019NEAREST COMOMENT ESTIMATION WITH UNOBSERVED FACTORS. (2019). Boudt, Kris ; Verdonck, Tim ; Cornilly, Dries. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:19/970.

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2018Modelling credit spreads with time volatility, skewness, and kurtosis. (2018). Clark, Ephraim ; Baccar, Selima. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-1975-5.

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2018Using realistic trading strategies in an agent-based stock market model. (2018). Llacay, Barbara ; Peffer, Gilbert. In: Computational and Mathematical Organization Theory. RePEc:spr:comaot:v:24:y:2018:i:3:d:10.1007_s10588-017-9258-0.

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2018Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models. (2018). Aknouche, Abdelhakim ; Demouche, Nacer ; Al-Eid, Eid . In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:21:y:2018:i:3:d:10.1007_s11203-017-9160-x.

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2017Modelling the relationship between future energy intraday volatility and trading volume with wavelet. (2017). Ftiti, Zied ; JAWADI, Fredj ; Louhichi, Wal. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:20:p:1981-1993.

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2019Time-varying tail behavior for realized kernels. (2019). Lucas, Andre ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190051.

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2018Spurious Cross-Sectional Dependence in Credit Spread Changes. (2018). McAleer, Michael ; Jaskowski, Marcin . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1821.

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2017A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities. (2017). Veiga, Helena ; Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Mazzeu, Joao Henrique . In: Working Papers. RePEc:ucr:wpaper:201709.

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2018Lighting up the dark: Liquidity in the German corporate bond market. (2018). Gunduz, Yalin ; Subrahmanyam, Marti G ; Schneider, Michael ; Pelizzon, Loriana ; Ottonello, Giorgio. In: SAFE Working Paper Series. RePEc:zbw:safewp:230.

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Works by Eduardo Rossi:


YearTitleTypeCited
2009Long Memory and Tail dependence in Trading Volume and Volatility In: CREATES Research Papers.
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paper17
2013Long memory and tail dependence in trading volume and volatility.(2013) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
article
2009A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility In: CREATES Research Papers.
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paper3
2011Estimation of long memory in integrated variance In: CREATES Research Papers.
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paper7
2012Estimation of long memory in integrated variance.(2012) In: DEM Working Papers Series.
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This paper has another version. Agregated cites: 7
paper
2014Estimation of Long Memory in Integrated Variance.(2014) In: Econometric Reviews.
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This paper has another version. Agregated cites: 7
article
2014Volatility jumps and their economic determinants In: CREATES Research Papers.
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paper15
2016Volatility Jumps and Their Economic Determinants.(2016) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 15
article
2014Chasing volatility - A persistent multiplicative error model with jumps In: CREATES Research Papers.
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paper8
2014Chasing Volatility. A Persistent Multiplicative Error Model With Jumps.(2014) In: Marco Fanno Working Papers.
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This paper has another version. Agregated cites: 8
paper
2014Indirect inference with time series observed with error In: CREATES Research Papers.
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paper1
2018Indirect inference with time series observed with error.(2018) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 1
article
2018Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows In: Papers.
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paper2
2016Structural analysis with mixed frequencies: monetary policy, uncertainty and gross capital flows.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 2
paper
2005Artificial regression testing in the GARCH-in-mean model In: Econometrics Journal.
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article1
2010Efficient importance sampling maximum likelihood estimation of stochastic differential equations In: Computational Statistics & Data Analysis.
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article5
2010Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis In: Computational Statistics & Data Analysis.
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article9
2008Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis.(2008) In: MPRA Paper.
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This paper has another version. Agregated cites: 9
paper
2015Testing for no factor structures: On the use of Hausman-type statistics In: Economics Letters.
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article1
2015Inference on factor structures in heterogeneous panels In: Journal of Econometrics.
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article1
2012Inference on Factor Structures in Heterogeneous Panels.(2012) In: DEM Working Papers Series.
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This paper has another version. Agregated cites: 1
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2014Inference on Factor Structures in Heterogeneous Panels.(2014) In: DEM Working Papers Series.
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This paper has another version. Agregated cites: 1
paper
2017Chasing volatility In: Journal of Econometrics.
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article2
1995A multivariate GARCH model for exchange rates volatility. In: LIUC Papers in Economics.
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paper0
2015Long Memory and Periodicity in Intraday Volatility In: Journal of Financial Econometrics.
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article15
2012Long memory and Periodicity in Intraday Volatility.(2012) In: DEM Working Papers Series.
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This paper has another version. Agregated cites: 15
paper
2011Conditional jumps in volatility and their economic determinants In: Marco Fanno Working Papers.
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paper5
2012Independent Factor Autoregressive Conditional Density Model In: DEM Working Papers Series.
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paper6
2015Independent Factor Autoregressive Conditional Density Model.(2015) In: Econometric Reviews.
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This paper has another version. Agregated cites: 6
article
2014A Two-Stage Estimator for Heterogeneous Panel Models with Common Factors In: DEM Working Papers Series.
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paper1
2014Testing for no factor structures: on the use of average-type and Hausman-type statistics In: DEM Working Papers Series.
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paper0
2008Euro corporate bonds risk factors In: MPRA Paper.
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paper11
2013EURO CORPORATE BOND RISK FACTORS.(2013) In: Journal of Applied Econometrics.
[Citation analysis]
This paper has another version. Agregated cites: 11
article
2008Estimation methods in panel data models with observed and unobserved components: a Monte Carlo study In: MPRA Paper.
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paper0
2010Univariate GARCH models: a survey (in Russian) In: Quantile.
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article2
2002Hedging interest rate risk with multivariate GARCH In: Applied Financial Economics.
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article6
2013A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges In: Journal of Futures Markets.
[Citation analysis]
article11

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